Interdependence of international equity market volatility

Applied Economics Letters

Volumn 7, Issue 5, 2000, Pages 341-345

  Chelley Steeley, Patricia L ^a  

^a UNIVERSITY OF STIRLING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039177998     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048500351500     Document Type: Article

References (8)

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2. Chelley-Steeley, P. L. and Steeley, J. M. (1999) Changes in the comovement of European Equity Markets, Economic Inquiry, 37(3), 473-88.
3. Cho, D., Eun C. and Senbet, L. (1986) International arbitrage pricing theory: an empirical investigation, The Journal of Finance, 42, 313-30.
4. Eun, C. and Shim, S. (1989) International transmission of stock market movements, Journal of Financial and Quantitative Analysis, 24, 241-56.
5. Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281-308.
6. King, M. and Wadwani, S. (1995) Transmission of volatility between stock markets, Review of Financial Studies, 8, 265-91.
7. Pagano, M. and Roell, A. (1990) Trading systems in European stock exchanges: current performance and policy options, Economy Policy, 36, 613-23.
8. Taylor, M. and Tonks, I. (1989) The internationalisation of stock markets and the abolition of exchange controls, The Review of Economics and Statistics, 26, 265-72.